Night Trading with Futures in China: The Case of Aluminum and Copper

Tony Klein and Neda Todorova

No 2019/06, QBS Working Paper Series from Queen's University Belfast, Queen's Business School

Abstract: We use high-frequency data to examine the effects of introducing an additional night trading session of four hours at the Shanghai Futures Exchange for Copper and Aluminum futures in December 2013. This additional trading session is shown to cause a structural break in the intraday behavior of prices. For Copper, the realized volatility of the regular session is endogenously determined while the night session is strongly driven by the immediately preceding realized volatility of the LME. In contrast, there is only little evidence for a directional spillover from the LME to SHFE for Aluminum futures. We find no indications that the SHFE is pulling volume from LME with the additional trading at night. Last, the now existing break between the day-time session and the night trading session is found to have significant informational content for Copper and Aluminum volatility and needs to be treated separately when extracting jump components from realized volatility

JEL-codes: C2 C22 G15 Q02 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/271226/1/qms-rp2019-06.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:qmsrps:201906

DOI: 10.2139/ssrn.3249598

Access Statistics for this paper

More papers in QBS Working Paper Series from Queen's University Belfast, Queen's Business School Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().